First, let me start with a very important distinction between universal and transient moonThe moon has a major impact on the markets, the full moon is more important than the new moon. effects: universal means independent from context factors like market volatility, trend direction, trend strength etc., transient means effects varying with these external factors. In other words, some correlations detected today were no different 10 or 100 years ago while others evolve under certain circumstances, last for a while and then disappear again (because the market itself changes!).

Universal Lunar Effects

An excellent research paper on this subject has been published by the University of Michigan Business School: "Are Investors Moonstruck? Lunar Phases and Stock Market Returns" (http://webuser.bus.umich.edu/). The conclusions of the authors (p. 25) are

This paper investigates the relation between lunar phases and stock returns for a sample of 48 countries. We find strong global evidence that stock returns are lower on days around a full moonThe moon has a major impact on the markets, the full moon is more important than the new moon. than on days around a new moonThe moon has a major impact on the markets, the full moon is more important than the new moon.. Constructing a lunar trading strategy, we find that the magnitude of this return difference is roughly 4.2 percent per annum. Since lunar phases are likely to be related to investor mood and are not related to economic activities, our findings are thus not consistent with traditional asset pricing theories that assume fully rational investors. The positive association we find between lunar phases and stock returns suggests that it may be valuable to go beyond a rational asset pricing framework to explore the psychological effects of investor behavior on stock returns.

The transient effects are at times a very powerful tool but they are constantly changing and solid astrological knowledge is necessary to understand the underlying dyncamics and draw the correct conclusions.